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Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework.
Iñigo Arregui
Roberta Simonella
Carlos Vázquez
Published in:
Commun. Nonlinear Sci. Numer. Simul. (2024)
Keyphrases
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numerical methods
probabilistic model
statistical models
prior knowledge
numerical algorithms
pattern recognition
higher order
partial differential equations
bayesian framework
learning scheme
numerical solution
finite element method